[R] using filter() to sum up

[peter dalgaard]

On 04 May 2015, at 21:38 , T.Riedle <tr206 at kent.ac.uk> wrote:

> Hi everybody,
> 
> I am trying to create a code for the formula in the attachment. I first tried following code:
> 
> ltau <- m + theta*sum(psi*X[t-k])
> 

That's not going to work. It might work with something like

sum(psi*X[(t-1):(t-K)])


> but it does not work and I get for X[t-k] every third element in my vector three times which looks as follows:
> X[t-k]
> [1] -0.25 -0.25 -0.25 0.50 0.50 0.50 -0.44 -0.44 -0.44 0.15 0.15 0.15
> 
> Thus, I tried the filter() function in R which looks as follows:
> ltau <- m + theta* filter(f.USA$UTS, phi(K, omega1, omega2), sides=1, method="conv")
> 
> Reading the description of this function I am unsure whether this provides the sum of the k lags. The appreviation "conv" provides, as far as I understand, the moving average instead of the sum.

I would assume that it means convolution. Which is what you have in the formula.

> Does anybody have an idea how the R code for the formula attached must look like? Is the filter() function appropriate?

It's barking up the right tree, but do your own checks...

-pd


> Thanks in advance.
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-- 
Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
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